Tuesday, 30 November 2010

Automated Trading - Updates

In our continuing quest to improve Flo, we have tried many things. The difficulty was to make an improvement that was not a curve fit, so apart from a drop dead stop loss most of what we have been doing is market action related.

As you can see from all the charts and videos on the blog, entries are pretty easy. It's the money management and exits that are more difficult to translate into an algo. When I'm trading, I look at so many things that contribute to the order flow. There are things I do in processing all the information - deciding which piece of information is more important than another - that I can't always make into rules. It just happens.

Flo paints with a broad brush. She copes with all types of markets and gives an average trading result. Her win rate is well above 60% over time, but she has more losing days than I do in my discretionary trading, even a losing month very occasionally.

To handle exits, we decided to treat them like entries. We knew that it would have to be simple. We made great strides when we ran the exits off a different data stream to that of the entries. Entries can be a little late, but the timing of exits is more critical once you have an entry in place, as otherwise you lose the profit from the entry. Sounds logical, simple but very important. We use a much shorter periodicity to time the exits and rely on Flo's re-entry techniques to get back into a trade that has a longer trend.

Below are Flo's trades during the London morning from our test sub-account trading 1 lot. The result of a profit of $561 after commissions is the result of implementing a better exit. I can't emphasise enough how critical the exits are to an algo strategy, as the exit will impact the next entry too if you only allow a single position at a time.

Flo's entries are pretty good. Flo was running on 3 markets this morning (London time) and didn't make a trade in either the ES or FESX, which was a good thing.


  1. Nice. Thanks for the update.
    Btw, do you still use marketdelta? Or are you using multicharts? Thanks again! -J

  2. Anon 19:16, I use both. I'm waiting for a few more updates to MD for my autotrading. I use MD for all my discretionary trading.